Actually, Sony Connect uses Sony's own ATRAC file format, not Windows Media. It's even more of a pain in the butt to work with.
I'm pretty sure there's no way to convert them on a Mac. Sony doesn't even support the Mac at all with their music store. There's probably some utility for Windows that can convert them to MP3, even if it's only by way of a stream ripper, but I'm not really familiar with Windows software, so I can't offer any links.